Maybe a Slender with substance? I don't know if that fits. Obviously, with Slender, you know what you're getting, which really nullifies the comparison to begin with (otherwise we wouldn't be having to clear this up). According to the reviews at least, Alan Wake's plot isn't a gratuitous stinker.
Wake is basically a Stephen King-inspired game, but imagine if Neil Gaiman had given the script a once-over after watching too much Hitchcock.
And I hate to sound like some kind of literary snob--I'm not, though I do love to read--but for anyone who was already on that page (look a pun), I think the trailer is going to be an instant clue-in. My best advice is that if you've got to ask what you're getting yourself into, enter at your own peril because there might be a pile of genre conventions that won't click with you; although if you enjoyed the attention to story in The Secret World, go ahead and get this one too.
It's a psychological horror thriller in the classic sense. (I've noticed "psychological thriller" in the video game medium has often just meant a lot of cheap thrills--the same thing you'd call gory horror in movies or books.)
(TSW might have a lot of the latter, but it does have a lot of the former too, which is why I made the comparison.)